I put the .sub and .idx files in the same folder as the avi, they are all named the same. It says that it loaded the subtitle file and found 455 entries. During the preivew box while its converting I'm not seeing any subtitles, should I be seeing them?

One of the more highly recommend paid program that does also very well and allows subtitles is ConverXtoDVD 3 from VSO. Here is their link for you to look over as well but also the progam is a paid program after the trial date is over.

In other words you have to buy a $50 program burn subtitles along with a video onto a DVD. Something I had no problems doing with the windows I had a year ago. So this is what they mean when they say a new and improved version of windows.